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st: xttobit and heteroskedasticity


From   "tom blade" <tomblade@eudoramail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xttobit and heteroskedasticity
Date   Mon, 28 Apr 2003 06:11:44 -0400

Dear statalist

I am working with the command xttobit (dependent variable has lot of
zeros). I have read that clad is robust to heteroscedasticity and is
consistent and asymptotically normal for a wide class of error
distributions. I would like to do something like that with data
panel as I have a problem of heteroskedasticity and I know in that
case the estimation with xttobit can be very bad.
As far as I know there is no "xtclad" command. Has someone a
solution?

Thank you very much in advance to all.

Tom



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